钢铁ETF（515210）跟踪的是中证钢铁指数（930606），该指数从沪深市场中选取归属于钢铁行业的相 关上市公司证券作为样本，以反映钢铁行业整体表现。指数成分股涵盖普钢、特钢等主要子领域，具有 显著的周期性特征，其走势与宏观经济周期密切相关。 银河证券指出，供给端反内卷政策持续加码，《钢铁行业稳增长工作方案（2025—2026年）》提出实施 产能产量精准调控，严禁新增产能，推动行业增加值年均增长4%。需求结构持续优化，制造业用钢占 比从2020年的42%升至2024年的50%，高端产品如硅钢产量较2020年增长48%，其中高磁感取向硅钢占 比提升至68%。普钢板块表现突出，利润总额占比达58.38%。行业供需格局改善，粗钢产量同比下降 2.9%，表观消费量下降5.7%，出口同比增长9.2%，净出口量显著上升。 （文章来源：每日经济新闻） ...

Market Strategy - The market is currently experiencing a volatile rotation, with a focus on defensive strategies. It is recommended to prioritize defensive tactics while considering low-value recovery opportunities in the mid-term [2][8] - The "dumbbell strategy" is suggested as a foundational approach, balancing between high dividend yield and low volatility sectors, particularly in the traditional Chinese medicine sector [8] Style Strategy - The technology growth sector is under pressure, while cyclical consumer sectors are positioned for defensive layouts. The market is seeing rapid rotation between technology growth and low-value cyclical sectors [3][8] Industry Strategy - The construction materials industry is expected to emerge from its cyclical bottom, supported by the "Construction Materials Industry Stable Growth Work Plan (2025-2026)" which provides clear policy guidance and development momentum. This plan aims to improve supply-demand relationships and restore profitability through systematic measures [4][8] - Structural opportunities in the construction materials sector include traditional leading companies with optimized supply patterns, leaders in green and emerging materials, and pioneers in digital transformation [8] Thematic Strategy - The environmental protection sector is gaining momentum, with potential for long-term driving forces. Recent climate commitments and policy changes signal a significant shift towards green and low-carbon transitions [5][8] - Relevant stocks in the environmental sector include Xuedilong (002658) and Yongqing Environmental Protection (300187), with associated ETFs such as the Environmental ETF (512580) and Carbon Neutrality ETF (159885) [8]

Group 1: Macro Timing Strategy - The macro timing strategy has an annualized return of 7.67% as of October 31, 2025, with a Sharpe ratio of 1.45 and a Calmar ratio of 1.67, indicating a maximum drawdown of -4.60% [2][4][5] - The latest portfolio allocation includes 7.01% in CSI 300 ETF, 7.99% in CSI 500 ETF, 55.94% in government bond ETF, 11.63% in soybean meal ETF, 5.02% in non-ferrous ETF, 7.40% in gold ETF, and 5.00% in currency ETF, with no allocation to S&P 500 ETF and corporate bond ETF [7][8] Group 2: Momentum Strategy - The momentum strategy has an annualized return of 18.25% since January 2020, with a Sharpe ratio of 0.88 and a Calmar ratio of 0.64, experiencing a maximum drawdown of -28.72% [9][10] - The latest portfolio allocation includes 27.01% in Huatai-PB CSI Telecom Theme ETF, 24.92% in Fuguo CSI Tourism Theme ETF, 21.52% in Xinhua CSI Cloud Computing 50 ETF, 16.38% in Huatai-PB CSI Smart Car ETF, and 8.17% in Huaxia CSI Artificial Intelligence ETF [13][14] Group 3: Sector Rotation Strategy - The sector rotation strategy has an annualized return of 10.00% since 2020, with an excess return of 7.27% relative to CSI 300, and a maximum drawdown of -42.98% [15] - The latest portfolio includes home appliance ETF, green power ETF, steel ETF, new energy vehicle ETF, financial ETF, and agricultural ETF, while excluding non-ferrous metals ETF and transportation ETF [18][19] Group 4: Copula-Based Second-Order Stochastic Dominance Strategy - The Copula-based second-order stochastic dominance strategy has an annualized return of 14.41% since January 2020, with a Sharpe ratio of 0.68 and a maximum drawdown of -42.62% [20][24] - The latest portfolio allocation includes 5.00% in Huaxia CSI Petrochemical Industry ETF, 85.00% in Fuguo CSI 800 Bank ETF, 5.00% in Fuguo CSI All-Index Securities Company ETF, and 5.00% in Bosera CSI Oil and Gas Resources ETF [23][25] Group 5: Quantile Random Forest Technology ETF Allocation Strategy - The quantile random forest technology ETF allocation strategy has an annualized return of 13.54% since 2020, with a Sharpe ratio of 0.76 and a maximum drawdown of -29.89% [26] - The latest portfolio allocation consists of 95.63% in technology ETFs, including 4.78% in Jiahua National Communication ETF, 4.78% in Tianhong CSI Photovoltaic Industry ETF, 4.78% in Huabao CSI Military Industry ETF, 76.51% in Ping An CSI Consumer Electronics Theme ETF, and 4.78% in Fuguo CSI Technology 50 Strategy ETF [29][30]

Core Viewpoint - The steel industry has shown a significant improvement in profitability in Q3 2025, driven by policies aimed at reducing competition and improving supply-side dynamics, leading to a return to profitability year-on-year [1][3]. Performance - In Q3 2025, the steel sector achieved revenue of 483.4 billion yuan, remaining stable compared to Q2, and reported a net profit attributable to shareholders of 9 billion yuan, reflecting an 11% quarter-on-quarter increase and a return to profitability year-on-year [1]. - The average profit margin for steel mills increased from 59% at the end of June to 64% by the end of August, with an average profit margin of 62% in Q3, up 4.5 percentage points from Q2 [3]. Analysis - The "anti-involution" policy has strengthened expectations for supply-side reductions, resulting in a rapid increase in steel prices starting in Q3, combined with lower raw material inventory costs, which has significantly improved steel mill profits [3]. - The estimated net profit per ton for steel in Q3 2025 was 92 yuan, representing a quarter-on-quarter increase of 14 yuan per ton, placing it in the 68th percentile since 2021 [3]. Outlook - Expectations for supply-side reductions are increasing, with policies aimed at reducing production capacity and promoting the exit of inefficient capacities, which will lead to a more competitive environment in the steel industry [4]. - The "Steel Industry Stabilization and Growth Work Plan (2025-2026)" outlines specific targets for production control to maintain supply-demand balance, indicating a shift towards a phase of survival of the fittest in the industry [4]. Cost Factors - The supply of iron ore is expected to become more favorable for the steel industry, particularly with the upcoming production from the West Simandou iron ore project, which is projected to reach an annual output of 120 million tons [5]. - The profit distribution within the steel industry shows that iron ore profits accounted for 72%, while coking coal and finished products accounted for 7% and 22%, respectively, indicating a significant potential for iron ore to benefit the steel sector [5]. Investment Opportunities - The steel sector is currently undervalued, with a price-to-book ratio of 1.13 as of November 4, 2025, which is in the 56.56th percentile over the past decade, suggesting potential for investment as funds begin to position for the upcoming year [6]. - The unique steel ETF (515210) is recommended for investors looking to capitalize on the anticipated improvements in the steel sector driven by the "anti-involution" policies and favorable supply-demand dynamics [6].

Core Insights - The report indicates that the A-share market is in a slow bull phase, currently experiencing a typical consolidation period, with the index expected to fluctuate around 3900 points within a range of 100 points [9] - There is a notable shift in capital flow from mid-risk technology growth stocks to high-dividend and micro-cap stocks, suggesting a return to a "barbell strategy" [9] - The macroeconomic backdrop shows a temporary truce in trade disputes, leading to a transitional and rebalancing phase in the market, where trading factors are gaining importance [9] Market Strategy - Emphasis is placed on trading factors and capturing the rhythm of market fluctuations, particularly in the context of the current consolidation phase [3] - The report suggests that cyclical and consumer sectors are expected to outperform in the short term, driven by supply-side optimization and cost reductions [9] Industry Strategy - The banking sector shows positive fundamental signals, with improvements in net interest margins and asset quality, indicating a favorable environment for investment [5] - The report highlights the resilience of state-owned banks and the potential of high-quality, high-elasticity small and medium-sized banks as investment targets [9] Thematic Strategy - The upcoming COP30 climate conference is expected to act as a catalyst for the clean energy sector, with significant opportunities in energy transition areas such as photovoltaics, energy storage, and carbon trading [6][9] - The report identifies specific investment opportunities in companies related to clean energy and environmental protection, anticipating that these sectors will benefit from the outcomes of the climate summit [9]

Market Overview - The A-share market is expected to experience short-term adjustments, but the adjustment space is relatively limited[2] - The macro timing model for November 2025 has a score of -5, indicating a high probability of adjustment for the entire A-index[19] Index Performance - The top three broad-based indices from October 27 to October 31, 2025, were: North China 50 (7.52%), CSI 1000 (1.18%), and CSI 500 (1.00%); the bottom three were: Sci-Tech 50 (-3.19%), Shanghai 50 (-1.12%), and Sci-Tech Composite Index (-0.67%)[9] - The top three style indices were: ChiNext Small Cap (1.47%), Small Cap Growth (1.45%), and Small Cap Value (1.37%); the bottom three were: Financial (CITIC Style) (-1.33%), ChiNext Large Cap (-0.73%), and Large Cap Growth (-0.40%)[10] Sector Analysis - The top three sectors in the Shenwan first-level industry index were: Power Equipment (4.29%), Nonferrous Metals (2.56%), and Steel (2.55%); the bottom three were: Communication (-3.59%), Beauty Care (-2.21%), and Banking (-2.16%)[13] Fund Allocation Recommendations - It is recommended to adopt a balanced ETF allocation strategy due to the anticipated wide fluctuations in the market and the continuation of structural trends[4] - The risk factors include potential model failure based on historical data, macroeconomic underperformance, and unexpected macro events[4]

Core Viewpoint - The article highlights the trading activities in the Shanghai and Shenzhen stock markets, focusing on the top traded stocks, sector performances, and ETF transactions, indicating significant capital flows and market trends. Group 1: Stock Trading Overview - The total trading volume of the Shanghai and Shenzhen Stock Connect today reached 277.98 billion, with Industrial Fulian and Zhongji Xuchuang leading in trading volume for the Shanghai and Shenzhen markets respectively [1] - The top ten stocks traded on the Shanghai Stock Connect included Industrial Fulian with a transaction amount of 3.074 billion, followed by Hanwujing and Qindengshi [4][5] - On the Shenzhen Stock Connect, Zhongji Xuchuang topped the list with a transaction amount of 4.705 billion, followed by Ningde Times and Xinyi Sheng [6] Group 2: Sector Performance - The electronic sector saw the highest net inflow of capital, amounting to 5.569 billion, indicating strong investor interest [8] - In contrast, the new energy sector experienced the largest net outflow of capital, totaling -2.180 billion, reflecting a shift in investor sentiment [9] Group 3: ETF Transactions - The Hong Kong Securities ETF had the highest trading volume among ETFs at 28.477 billion, with a significant increase of 72.48% compared to the previous trading day [14] - The Steel ETF saw a remarkable trading volume increase of 186.19%, indicating heightened trading activity in this sector [15] Group 4: Institutional Trading Activity - Institutional trading was notably active, with stocks like Xiangrikui and Jingzhida experiencing significant buy-ins from multiple institutions, indicating strong institutional interest [19][20] - Conversely, stocks like Demingli and Jiangbolong faced substantial sell-offs from institutions, suggesting a cautious approach towards these stocks [20]

Core Insights - The report emphasizes the construction of strategy portfolios based on industry and thematic ETFs, focusing on industry style continuation and switching perspectives through quantitative analysis [2][3]. - The strategy update indicates a recommendation to hold or adjust positions in various ETFs, reflecting a tactical approach to industry rotation [2][3]. ETF Performance Summary - The report lists several ETFs with their market values, holding status, and dominant sectors, indicating a focus on aerospace, military electronics, semiconductors, and traditional media sectors [3][12]. - The cumulative net return for the strategy from September 22 to September 26, 2025, was approximately -0.12%, with an excess return of -1.14% compared to the CSI 300 ETF [3][12]. - Since October 14, 2024, the cumulative return for the strategy sample outside the main portfolio was about 24.76%, outperforming the CSI 300 ETF by approximately 4.92% [3][4]. Recommended ETF Adjustments - The report suggests adding positions in the Satellite ETF, Central Enterprise Technology ETF, and Central Enterprise Innovation ETF while maintaining positions in the Aerospace ETF, Film and Television ETF, and Steel ETF [3][12]. - The weekly model recommends focusing on sectors such as aerospace equipment, military electronics, and semiconductors for the upcoming week [12].

Core Viewpoint - The Steel ETF (515210) has shown a net inflow in financing activities, indicating increased investor interest in the steel sector, with a total net inflow of 97.82 million yuan on September 15, 2025, and a cumulative net inflow of 457.5 million yuan over the past three trading days [1]. Financing Activities - On September 15, 2025, the financing buy-in amounted to 10.4269 million yuan, while the financing repayment was 9.4487 million yuan, resulting in a net financing buy of 0.9782 million yuan [1]. - The financing balance reached 39.7795 million yuan on the same day, with 11 out of the last 20 trading days showing net financing inflows [1][2]. Margin Trading Activities - On September 15, 2025, there were 20,000 shares sold short, with 33,300 shares repaid, leading to a net short sale of 13,300 shares and a remaining short balance of 100,070 shares [2][3]. - In the last 20 trading days, there were 11 days with net short sales, indicating a trend of increased short selling activity [2][3]. Overall Margin Balance - The total margin balance reached 41.1995 million yuan on September 15, 2025, reflecting an increase of 2.36% from the previous day [4]. - The margin balance has shown fluctuations, with a notable increase of 9.19% on September 12, 2025, following a decrease of 8.71% on September 9, 2025 [4]. Regulatory Information - Individual investors participating in margin trading must meet two conditions: having at least six months of trading experience and maintaining an average account asset of 500,000 yuan over the last 20 trading days [5]. - The number of margin trading stocks on the Shanghai Stock Exchange is set to increase from 800 to 1,000, while the Shenzhen Stock Exchange will expand its eligible stocks from 800 to 1,200 [5].

Group 1 - The Steel ETF (515210) recorded a financing buy of 14.328 million yuan and a financing repayment of 10.96 million yuan on September 12, resulting in a net financing buy of 3.368 million yuan and a financing balance of 38.8013 million yuan, with a cumulative net buy of 4.4526 million yuan over the last three trading days [1] - The financing balance increased by 9.19% to 40.2482 million yuan on September 12, compared to the previous day [4] - The financing net buy for September 11 was 228,800 yuan, and for September 10 it was 855,700 yuan, while there were net sells on September 9 and September 8 of 3.4264 million yuan and 1.4954 million yuan respectively [2][4] Group 2 - On September 12, there were no net sell transactions in securities lending, with a total of 1.014 million shares remaining in the lending balance [3] - The securities lending balance was 1.447 million yuan on September 12, with a total of 30,000 shares sold and repaid on that day [3] - Over the last 20 trading days, there were 12 days with net selling in securities lending [2]